Should smoke/steam ever be coming from my brand new HP CP-1215 Laser Jet printer while printing, given that there are hot parts internally?
No, this is definitely not a standard operating thing. Unplug the printer ASAP, and bring it back to the store where you bought it from (and hope they give you a new one). This seems like a very serious safety issue. I have never personally seen a laser printer "smoke" or produce "steam" during operation. Furthermore, I have a similar model printer, which has not done anything like that from day one.
For your own personal safety, make sure you stay far away from any stray gasses/smoke/steam that has been emitted from the printer, as these are known toxins.